mirror of
https://github.com/c9s/bbgo.git
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233 lines
9.2 KiB
YAML
233 lines
9.2 KiB
YAML
---
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persistence:
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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sessions:
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binance:
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exchange: binance
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envVarPrefix: BINANCE
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# example command:
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# godotenv -f .env.local -- go run ./cmd/bbgo backtest --sync-from 2020-11-01 --config config/grid.yaml --base-asset-baseline
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backtest:
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# for testing max draw down (MDD) at 03-12
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# see here for more details
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# https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
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startTime: "2022-05-01"
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endTime: "2023-11-01"
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sessions:
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- binance
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symbols:
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- ETHUSDT
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accounts:
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binance:
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balances:
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ETH: 0.0
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USDT: 10_000.0
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exchangeStrategies:
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- on: binance
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bollmaker:
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symbol: ETHUSDT
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# interval is how long do you want to update your order price and quantity
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interval: 1m
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# quantity is the base order quantity for your buy/sell order.
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quantity: 0.05
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# amount is used for fixed-amount order, for example, use fixed 20 USDT order for BTCUSDT market
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# amount: 20
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# useTickerPrice use the ticker api to get the mid price instead of the closed kline price.
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# The back-test engine is kline-based, so the ticker price api is not supported.
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# Turn this on if you want to do real trading.
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useTickerPrice: true
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# spread is the price spread from the middle price.
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# For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
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# For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread))
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# Spread can be set by percentage or floating number. e.g., 0.1% or 0.001
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spread: 0.1%
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# minProfitSpread is the minimal order price spread from the current average cost.
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# For long position, you will only place sell order above the price (= average cost * (1 + minProfitSpread))
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# For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
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minProfitSpread: 0.1%
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# minProfitActivationRate activates MinProfitSpread when position RoI higher than the specified percentage
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minProfitActivationRate: -10%
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# trendEMA detects the trend by a given EMA
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# when EMA goes up (the last > the previous), allow buy and sell
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# when EMA goes down (the last < the previous), disable buy, allow sell
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# uncomment this to enable it:
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trendEMA:
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interval: 1d
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window: 7
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maxGradient: 1.5
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minGradient: 1.01
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# ==================================================================
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# Dynamic spread is an experimental feature. it will override the fixed spread settings above.
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#
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# dynamicSpread enables the automatic adjustment to bid and ask spread.
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# Choose one of the scaling strategy to enable dynamicSpread:
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# - amplitude: scales by K-line amplitude
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# - weightedBollWidth: scales by weighted Bollinger band width (explained below)
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# ==================================================================
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#
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# =========================================
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# dynamicSpread with amplitude
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# =========================================
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# dynamicSpread:
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# amplitude: # delete other scaling strategy if this is defined
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# # window is the window of the SMAs of spreads
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# window: 1
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# askSpreadScale:
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# byPercentage:
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# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
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# exp:
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# # from down to up
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# domain: [ 0.0001, 0.005 ]
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# # when in down band, holds 1.0 by maximum
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# # when in up band, holds 0.05 by maximum
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# range: [ 0.001, 0.002 ]
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# bidSpreadScale:
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# byPercentage:
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# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
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# exp:
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# # from down to up
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# domain: [ 0.0001, 0.005 ]
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# # when in down band, holds 1.0 by maximum
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# # when in up band, holds 0.05 by maximum
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# range: [ 0.001, 0.002 ]
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#
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# =========================================
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# dynamicSpread with weightedBollWidth
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# =========================================
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# dynamicSpread:
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# # weightedBollWidth scales spread base on weighted Bollinger bandwidth ratio between default and neutral bands.
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# #
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# # Given the default band: moving average bd_mid, band from bd_lower to bd_upper.
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# # And the neutral band: from bn_lower to bn_upper
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# # Set the sigmoid weighting function:
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# # - to ask spread, the weighting density function d_weight(x) is sigmoid((x - bd_mid) / (bd_upper - bd_lower))
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# # - to bid spread, the weighting density function d_weight(x) is sigmoid((bd_mid - x) / (bd_upper - bd_lower))
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# # Then calculate the weighted band width ratio by taking integral of d_weight(x) from bx_lower to bx_upper:
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# # - weighted_ratio = integral(d_weight from bn_lower to bn_upper) / integral(d_weight from bd_lower to bd_upper)
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# # - The wider neutral band get greater ratio
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# # - To ask spread, the higher neutral band get greater ratio
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# # - To bid spread, the lower neutral band get greater ratio
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# # The weighted ratio always positive, and may be greater than 1 if neutral band is wider than default band.
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#
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# weightedBollWidth: # delete other scaling strategy if this is defined
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# # sensitivity is a factor of the weighting function: 1 / (1 + exp(-(x - bd_mid) * sensitivity / (bd_upper - bd_lower)))
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# # A positive number. The greater factor, the sharper weighting function. Default set to 1.0 .
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# sensitivity: 1.0
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#
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# askSpreadScale:
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# byPercentage:
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# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
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# linear:
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# # from down to up
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# domain: [ 0.1, 0.5 ]
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# range: [ 0.001, 0.002 ]
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# bidSpreadScale:
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# byPercentage:
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# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
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# linear:
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# # from down to up
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# domain: [ 0.1, 0.5 ]
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# range: [ 0.001, 0.002 ]
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# maxExposurePosition is the maximum position you can hold
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# +10 means you can hold 10 ETH long position by maximum
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# -10 means you can hold -10 ETH short position by maximum
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# uncomment this if you want a fixed position exposure.
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# maxExposurePosition: 3.0
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maxExposurePosition: 10
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# dynamicExposurePositionScale overrides maxExposurePosition
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# for domain,
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# -1 means -100%, the price is on the lower band price.
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# if the price breaks the lower band, a number less than -1 will be given.
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# 1 means 100%, the price is on the upper band price.
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# if the price breaks the upper band, a number greater than 1 will be given, for example, 1.2 for 120%, and 1.3 for 130%.
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dynamicExposurePositionScale:
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byPercentage:
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# exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
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exp:
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# from lower band -100% (-1) to upper band 100% (+1)
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domain: [ -1, 1 ]
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# when in down band, holds 1.0 by maximum
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# when in up band, holds 0.05 by maximum
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range: [ 10.0, 1.0 ]
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# DisableShort means you can don't want short position during the market making
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# THe short here means you might sell some of your existing inventory.
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disableShort: true
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# uptrendSkew, like the strongUptrendSkew, but the price is still in the default band.
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uptrendSkew: 0.8
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# downtrendSkew, like the strongDowntrendSkew, but the price is still in the default band.
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downtrendSkew: 1.2
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# defaultBollinger is a long-term time frame bollinger
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# this bollinger band is used for controlling your position (how much you can hold)
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# when price is near the upper band, it holds less.
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# when price is near the lower band, it holds more.
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defaultBollinger:
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interval: "1h"
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window: 21
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bandWidth: 2.0
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# neutralBollinger is the smaller range of the bollinger band
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# If price is in this band, it usually means the price is oscillating.
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neutralBollinger:
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interval: "5m"
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window: 21
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bandWidth: 2.0
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# tradeInBand: when tradeInBand is set, you will only place orders in the bollinger band.
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tradeInBand: true
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# buyBelowNeutralSMA: when this set, it will only place buy order when the current price is below the SMA line.
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buyBelowNeutralSMA: true
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# emaCross is used for turning buy on/off
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# when short term EMA cross fast term EMA, turn on buy,
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# otherwise, turn off buy
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emaCross:
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enabled: false
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interval: 1h
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fastWindow: 3
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slowWindow: 12
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exits:
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# roiTakeProfit is used to force taking profit by percentage of the position ROI (currently the price change)
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# force to take the profit ROI exceeded the percentage.
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- roiTakeProfit:
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percentage: 3%
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- protectiveStopLoss:
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activationRatio: 1%
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stopLossRatio: 0.2%
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placeStopOrder: false
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- protectiveStopLoss:
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activationRatio: 2%
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stopLossRatio: 1%
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placeStopOrder: false
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- protectiveStopLoss:
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activationRatio: 5%
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stopLossRatio: 3%
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placeStopOrder: false
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